| Description | The aggregate (non-DRC) capital requirement which disregards individual desks capital treatment, as if all positions were under IMA approach |
| Variations | euler, incremental, spot |
| Reference | [MAR33.41] |
| Notation | CA |
| Formula | CA=max{IMCCt−1+SESt−1;mc⋅IMCCavg+SESavg} |
CA
The CA measure in FRTBCombinedCube, computing the aggregate non-DRC IMA capital requirement (C_A) as if all positions were under IMA, per Basel MAR33.41, with Euler, Incremental, and Spot variations